Please use this identifier to cite or link to this item: http://hdl.handle.net/10525/499

 Title: Using Monte Carlo Methods to Evaluate Sub-Optimal Exercise Policies for American Options Authors: Alobaidi, GhadaMallier, Roland Keywords: American OptionsMonte Carlo Method Issue Date: 2002 Publisher: Institute of Mathematics and Informatics Bulgarian Academy of Sciences Citation: Serdica Mathematical Journal, Vol. 28, No 3, (2002), 207p-218p Abstract: In this paper we use a Monte Carlo scheme to find the returns that an uninformed investor might expect from an American option if he followed one of several näıve exercise strategies rather than the optimal exercise strategy. We consider several such strategies that an ill-advised investor might follow. We also consider how the expected return is affected by how often the investor checks to see if his exercise criteria have been met. Description: ∗This research, which was funded by a grant from the Natural Sciences and Engineering Research Council of Canada, formed part of G.A.’s Ph.D. thesis [1]. URI: http://hdl.handle.net/10525/499 ISSN: 1310-6600 Appears in Collections: Volume 28 Number 3

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